On the distribution of exponential functionals for Levy processes with jumps of rational transform - Mathematics > ProbabilityReport as inadecuate




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Abstract: We derive explicit formulas for the Mellin transform and the distribution ofthe exponential functional for Levy processes with rational Laplace exponent.This extends recent results by Cai and Kou on the processes withhyper-exponential jumps N. Cai and S. Kou -Prising Asian options under ageneral jump diffusion model-, 2010.



Author: Alexey Kuznetsov

Source: https://arxiv.org/







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